Hi Tucker,
I had problems with downloading this to - I got it when automatic download told me there was an upgrade for WMP10. Id did download, but would not let me open it telling me to login as the administrator, which I already was.
In the end I went and Googled WMP 11 and got into the MS site and re-downloaded from there and this time it saved everything and now works.
My only suggestion would be to kill whatever you have already downloaded, by first using "Add/ Remove Programs" in Control Panel and remove anything referring to WMP 11. If there is nothing there do a search and delete the partial download you have so it can't interfere and then go to the MS site and try to download again.